ALM Manager, Royal Bank of Canada US, Los Angeles, CA:

RBC•Los Angeles, CA

7d•$234,000 - $234,000

About The Position

The ALM Manager leads production of Interest Rate Risk in the Banking Book (IRRBB) metrics, including Net Interest Income (NII), economic value of equity (EVE), and key rate duration (KRD), for major Combined US Operations (CUSO) entities. The role leads the development, support, maintenance, and documentation of Quantitative Risk Management (QRM) model methodologies and procedures, monitors compliance with applicable IRRBB limits, and escalates increased interest-rate risk exposures to senior management. The manager ensures the accuracy and reasonableness of Asset and Liability Management (ALM) model projections in accordance with model governance standards for data completeness and assumptions development. The role leads periodic back testing and sensitivity analysis of modeling assumptions, works with teams across City National Bank and CUSO to develop model assumptions, and leads updates to IRRBB policies and procedures and the annual limit review. It also monitors economic conditions and balance-sheet trends, identifies developments that could adversely affect IRRBB, and proposes on- and off-balance-sheet mitigation strategies. The role builds working relationships within Treasury, Finance, business units, and platforms. This is a full-time, salaried position based in Los Angeles, California, with a Monday–Friday schedule of 40 hours per week. Domestic travel of up to 20% is required. The base salary is $234,000 per year, excluding discretionary bonus and benefits.

Requirements

Bachelor’s degree in Electronics Engineering, Communication Engineering, Finance, Business, Economics, Accounting, Management Information Systems, or a related field.
At least 5 years of progressive post-baccalaureate work experience.
At least 5 years of experience designing and implementing frameworks for measuring, monitoring, and mitigating IRRBB in compliance with regulatory guidelines.
At least 5 years of experience conducting gap analysis, duration modeling, and EVE simulations to assess balance-sheet sensitivity to interest-rate shocks.
At least 5 years of experience managing asset-liability repricing mismatches and optimizing balance-sheet structure to align with risk appetite and strategic goals.
At least 5 years of experience structuring and executing interest-rate swaps, swaptions, and Treasury futures/options to hedge interest-rate exposures.
At least 5 years of experience using behavioral modeling for non-maturity deposits and analyzing loan portfolio prepayment risk.
At least 5 years of experience implementing dynamic hedging programs to adjust positions in response to market volatility and balance-sheet changes.
At least 3 years of experience developing and maintaining data pipelines for ALM reporting, ensuring accuracy, consistency, and compliance with data standards.
At least 3 years of experience using SQL, Python, or R for data extraction, transformation, and validation supporting IRR and liquidity risk models.
At least 3 years of experience using Tableau or Power BI dashboards.
At least 3 years of experience using QRM Modelling Platforms to build and validate balance-sheet models, cash-flow projections, and stress-testing scenarios.

Responsibilities

Lead production of IRRBB metrics, including NII, EVE, and KRD, for major CUSO entities.
Lead development, support, maintenance, and documentation of QRM model methodologies and procedures.
Monitor IRRBB metrics against applicable limits and escalate increased IRR exposures to senior management.
Ensure ALM model projections are accurate and reasonable under model governance standards for data completeness and assumption development.
Lead periodic back testing and sensitivity analysis of modeling assumptions.
Work with teams across CNB and CUSO to develop accurate and reasonable assumptions for IRRBB models.
Lead updates to IRRBB policies and procedures.
Lead the annual limit review.
Monitor economic conditions and balance-sheet trends to identify developments detrimental to IRRBB.
Propose IRRBB mitigation strategies, including on- and off-balance-sheet options.
Establish working relationships within Treasury, Finance, and across business units and platforms.
Travel domestically up to 20%.